Phân tích ảnh hưởng của các nhân tố kinh tế vĩ mô đến thị trường chứng khoán việt nam

I HC HU TRNG I HC KINH T KHOA K TON TI CHNH t H u - - KHểA LUN TT NGHIP I HC i h cK in h PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TH TRNG CHNG KHON VIT NAM Giỏo viờn hng dn: Nguyn Tuyt Trinh TS Trn Th Bớch Ngc ng Sinh viờn thc hin: Lp: K44A TCNH Tr Niờn khúa: 2010 - 2014 Hu, thỏng nm 2014 TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM u Lụứi Caỷm ễn u tiờn, em xin gi li cm n n Thy Cụ trng i hc Kinh t t H Hu núi chung v Thy Cụ khoa K toỏn Ti chớnh núi riờng, ó tn tõm ging dy em sut quỏ trỡnh hc v nghiờn cu ti trng c bit, em xin gi li cỏm n chõn thnh nht n TS Trn Th Bớch Ngc, h ngi ó trc tip hng dn em thc hin ti tt nghip Nh s hng in dn v ch bo tn tỡnh ca cụ, em ó cú c nhng kin thc v kinh nghim quý bỏu v cỏch xỏc nh nghiờn cu, phng phỏp nghiờn cK cu, xỏc nh kt cu cho ti, trỡnh by kt qu v hon thnh ti tt nghip ca mỡnh h Cui cựng, em xin by t lũng cm n sõu sc n gia ỡnh v bn bố ó luụn bờn cnh, h tr v ng viờn em hon thnh tt khoỏ lun ca mỡnh Hu, thỏng 05/2014 Sinh viờn thc hin Nguyn Tuyt Trinh Tr ng i Em xin chõn thnh cm n! SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM MC LC PHN I: M U 1 Tng quan tỡnh hỡnh nghiờn cu v nh hng ca cỏc nhõn t kinh t v mụ n th trng chng khoỏn u Lý thc hin ti Mc tiờu nghiờn cu .5 t H i tng, phm vi nghiờn cu Phng phỏp nghiờn cu .7 PHN 2: NI DUNG V KT QU NGHIấN CU .8 h CHNG 1: TNG QUAN V NH HNG CA CC BIN KINH T V in Mễ N TH TRNG CHNG KHON .8 1.1 Cỏc nhõn t nh hng ti giỏ c phiu cK 1.1.1 Nhõn t c bn 1.1.2 Nhõn t v mụ h 1.2 nh hng ca cỏc nhõn t v mụ n giỏ c phiu trờn th trng chng khoỏn 10 1.2.1 Ch s giỏ tiờu dựng 10 1.2.2 Lói sut .11 i 1.2.3 T giỏ hi oỏi .12 1.2.4 Cung tin M2 .13 1.2.5 Giỏ du thụ 13 ng 1.2.6 Giỏ vng .14 1.2.7 Sn lng cụng nghip 15 1.3 Vai trũ, ý ngha ca vic nghiờn cu s nh hng ca cỏc nhõn t kinh t v mụ n th trng chng khoỏn 15 Tr 1.4 Tng quan v phng phỏp nghiờn cu: 16 1.4.1 Tớnh dng 17 1.4.1.1 Chui thi gian .17 1.4.1.2 Khỏi nim tớnh dng 17 1.4.1.3 Cỏch kim nh tớnh dng ca chui thi gian 17 1.4.1.4 Nhiu trng 19 SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM 1.4.1.5 Bin i chui khụng dng thnh chui dng 19 1.4.2 c lng mi quan h di hn 19 1.4.2.1 Phõn tớch hi quy 19 1.4.2.2 c lng phng trỡnh hi quy 20 u 1.4.2.3 Cỏc gi thit c bn ca phng phỏp bỡnh phng nh nht .20 1.4.3 Kim nh ng liờn kt (Kim nh Engle - Granger) 21 t H 1.4.4 Mụ hỡnh hiu chnh sai s ECM (Error Correct Model) 22 1.4.5 Kim nh nhõn qu hai bin Granger 23 1.4.5.1 Lý lun c bn ca Granger kim nh mi nhõn qu 23 h 1.4.5.2 iu kin ca kim nh nhõn qu Granger .24 in 1.4.5.3 Thc hin kim nh nhõn qu Granger 24 CHNG 2: PHN TCH NH HNG CA CC NHN T KINH T V cK Mễ N TH TRNG CHNG KHON VIT NAM 25 2.1 Thc trng tỡnh hỡnh kinh t v mụ v th trng chng khoỏn Vit Nam 25 2.1.1 Tỡnh hỡnh kinh t v mụ v th trng chng khoỏn giai on 1/2009 h 6/2010: Nhanh chúng phc hi sau khng hong .25 2.1.2 Tỡnh hỡnh kinh t v mụ v th trng chng khoỏn giai on 7/2010 i 12/2011: Ri lon v nhiu bt cp 27 2.1.3 Tỡnh hỡnh kinh t v mụ v th trng chng khoỏn giai on 1/2012 7/2013: K vng vo s n nh v nhng tớn hiu tớch cc 30 ng 2.2.1 D liu nghiờn cu 33 2.2.1.1 Ngun d liu 33 2.2.1.2 Phõn tớch thng kờ mụ t 34 2.2.1.3 Kim nh tớnh dng .35 Tr 2.2.2 Phõn tớch s nh hng ca cỏc nhõn t kinh t v mụ n th trng chng khoỏn di hn .36 2.2.2.1 c lng mụ hỡnh vi chui d liu ca tt c cỏc bin 36 2.2.2.2.Kim tra a cng tuyn 37 2.2.2.3 Hiu chnh mụ hỡnh 38 2.2.2.3.1 Loi b mt s bin cú tng quan cht ch vi 38 SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM 2.2.2.3.2 Hi quy mụ hỡnh sau ó loi b cỏc bin khụng phự hp .39 2.2.2.3.3 Khc phc t tng quan theo phng phỏp Cochrane - Orcutt40 2.2.2.3.4 Kim nh Engle Granger: 40 2.2.3 Xỏc nh nh hng ca cỏc nhõn t kinh t v mụ n th trng chng u khoỏn ngn hn 41 2.2.3.1 La chn tr ti u cho mụ hỡnh .41 t H 2.2.3.2 c lng mụ hỡnh hiu chnh sai s 42 2.2.4 Kim nh quan h nhõn qu Granger 43 2.2.4.1 La chn tr ti u 43 h 2.2.4.2 Kim nh nhõn qu Granger hai bin 44 in CHNG 3: THO LUN KT QU 45 3.1 Mt s kt lun rỳt t s nh hng di hn ca cỏc nhõn t cK kinh t v mụ n th trng chng khoỏn .45 3.2 Mt s kt lun rỳt t s nh hng ca cỏc nhõn t kinh t v mụ n h th trng chng khoỏn ngn hn 47 3.3 M rng v tho lun v kt qu .49 PHN 3: KT LUN 53 i Kt lun úng gúp ca nghiờn cu 53 Khuyn ngh 54 2.1 i vi Chớnh ph 54 ng 2.2 i vi nh u t 55 Hn ch ca nghiờn cu .56 Hng phỏt trin ca ti 56 DANH MC TI LIU THAM KHO 58 Tr PH LC SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM DANH MC CC CH CI VIT TT VIT TT NGUYấN VN Doanh nghip ECM Error Correction Model Mụ hỡnh hiu chnh sai s HOSE S Giao dch Chng khoỏn Thnh ph H Chớ Minh NT Nh u t NHNN Ngõn hng Nh nc NHTM Ngõn hng thng mi OLS Ordinary Least Squares Phng phỏp bỡnh phng nh nht t H u DN h thụng thng Th trng chng khoỏn VAR Vector Autoregression T hi quy vector VECM Vector Error Correction Model Mụ hỡnh vector hiu chnh sai s Tr ng i h cK in TTCK SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM DANH MC CC BNG BIU STT TấN BNG TRANG Cỏc bin, kớ hiu, n v v ngun d liu 35 Bng 2.2 Thng kờ mụ t cho cỏc chui s liu nghiờn cu 36 Bng 2.3 Kim nh Unit Root ADF cho cỏc chui s liu 37 Bng 2.4 Hi quy nh hng ca cỏc nhõn t kinh t v mụ n 38 t H ch s giỏ c phiu u Bng 2.1 Bng 2.5 H s tng quan gia cỏc bin c lp mụ hỡnh 39 Bng 2.6 Giỏ tr P - value v h s R2 ca mụ hỡnh hi quy tng 40 c lng nh hng ca cỏc nhõn t kinh t v mụ n in Bng 2.7 h bin c lp theo cỏc bin c lp khỏc Kim nh White 41 Bng 2.9 Kim nh Breusch-Godfrey i vi phn d 42 Bng 2.10 Khc phc t tng quan bng phng phỏp C O 42 Bng 2.11 Kim nh Engle Granger kim tra tớnh dng ca 42 phn d Phng trỡnh mụ t nh hng ca cỏc bin kinh t v i Bng 2.12 h Bng 2.8 cK ch s giỏ c phiu 41 43 mụ n ch s giỏ c phiu di hn Bng la chn tr ti u thụng qua mụ hỡnh VAR 43 Bng 2.14 Kt qu c lng mụ hỡnh ngn hn 44 Bng 2.15 Phng trỡnh mụ t nh hng ca cỏc bin kinh t v 45 ng Bng 2.13 Tr Bng 2.16 Bng 2.17 mụ n ch s giỏ c phiu ngn hn nh sau: Kt qu xỏc nh tr ti u theo tiờu chun AIC 45 (hng trờn) v SIC (hng di) Bng tng hp mi quan h nhõn qu gia VN - Index 46 v cỏc bin SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM DANH MC CC S , HèNH V STT TấN HèNH, S TRANG Mụ hỡnh nghiờn cu xut 17 Hỡnh 2.1 Bin ng ca cỏc bin kinh t v mụ v ch s giỏ 28 c phiu VN Index giai on 1/2009 6/2010 Hỡnh 2.2 Bin ng ca cỏc bin kinh t v mụ v ch s giỏ Hỡnh 2.3 30 t H c phiu VN Index giai on 7/2010 12/2011 u S 1.4 Bin ng ca cỏc bin kinh t v mụ v ch s giỏ 33 Tr ng i h cK in h c phiu VN Index giai on 1/2012 7/2013 SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM PHN I: M U Tng quan tỡnh hỡnh nghiờn cu v nh hng ca cỏc nhõn t kinh t v mụ n th trng chng khoỏn TTCK úng vai trũ quan trng i vi s phỏt trin ca nn kinh t ca mt u quc gia Th trng ny giỳp NT n gn hn vi DN, qua ú DN cú c hi tip cn vi ngun ln, m rng sn xut kinh doanh, phỏt trin bn vng Giỏ c t H chng khoỏn l hỡnh nh phn chiu nhng c bn ca nn kinh t v mụ, c bit l sc khe ca DN Giỏ c chng khoỏn phn ng vi cỏc tin tc hm cha nhiu s kin bt ng m chỳng ta khú oỏn trc c õy cng l mt i lng ngu nhiờn m ngi ta khụng th nh lng c mt cỏch chc chn, mc dự thụng tin in h c hp th mt cỏch nhanh chúng Vỡ vy giỏ c chng khoỏn núi riờng v TTCK núi chung luụn l c cỏc nh nghiờn cu quan tõm tỡm hiu qua nhiu cK th k Nm 1970, Fama a "Lý thuyt th trng hiu qu" hay "Gi thuyt th trng hiu qu" (Efficient Market Hypothesis - EMH) ó t c s lý thuyt cc h k quan trng Theo ú, cỏc nh lm chớnh sỏch cú th t thi hnh cỏc chớnh sỏch v ca TTCK i mụ quc gia m khụng cn phi lo s rng cỏc chớnh sỏch ny s lm thay i bn cht Tuy nhiờn thc tin nghiờn cu trờn th gii cho thy TTCK l mt b phn cu thnh th trng ti chớnh nờn nú b chi phi trc tip t nhng bin c phỏt trin ng lnh mnh hoc gp ri ro cú th xy trờn th trng ti chớnh Do vy, cỏc nhõn t v mụ nh chu k phỏt trin kinh t, lm phỏt, gim phỏt, lói sut, t giỏ u nh hng n giỏ chng khoỏn Nu TTCK tng trng mnh, dũng tin t cỏc kờnh u t khỏc cú xu hng vo th trng cng ln v ngc li Vỡ vy lý thuyt th Tr trng hiu qu rt khú t c 1.1 Thc tin nghiờn cu nc ngoi tỏc gi Chen Roll Ross (1986) ó xem xột nhõn t chớnh trờn th trng M Kt qu cho thy mt vi bin kinh t ny c chng minh l cú ý ngha trong vic gii thớch t sut sinh li k vng, c bit l sn lng cụng nghip, bin ng phn bự ri ro, ng cong li sut; mt vi bin yu hn nh s o lng SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM lm phỏt bt thng v nhng thay i lm phỏt kỡ vng nhng thi kỡ cỏc bin ny bt n cao Bn thõn lói sut khụng phi l nhõn t tỏc ng nhng chờnh lch t sut sinh li v s khỏc bit v mc ri ro thỡ nh hng n t sut sinh li c phn u Kwon, Shin v Bacon (1997) ó tỡm bng chng thuyt phc bng cỏch s dng kim nh nhõn qu Granger v mụ hỡnh vector hiu chnh sai s (VECM) cho t H thy TTCK Hn Quc nhy cm vi nn kinh t thc v hot ng thng mi quc t hn ch s chng khoỏn M v Nht, c th hin qua cỏc bin t giỏ, cỏn cõn thng mi, cung tin v ch s sn lng cụng nghip Muradoglu, Taskin, v Bigan (2000) ó nghiờn cu mi quan h gia t sut in h sinh li ca 19 th trng mi ni vi t giỏ, lói sut, lm phỏt v sn lng cụng nghip Kt qu cho thy mi quan h gia t sut sinh li th trng v cỏc bin kinh cK t v mụ tựy thuc vo quy mụ ca tng th trng v úng gúp ca nú vo th trng quc t Maysami v Koh (2000) a kt lun l ch s TTCK Singapore v ch s h ngnh bt ng sn hỡnh thnh mi quan h ng tớch hp vi tt c cỏc bin s kinh t c la chn gm lói sut ngn hn, di hn, sn lng cụng nghip, lm phỏt, t giỏ i v cung tin Riờng i vi ch s ti chớnh, hot ng kinh t thc v cung tin thỡ s liờn h khụng ỏng k Ibrahim & Yusoff (2001) nghiờn cu ti Malaysia ó ch rng giỏ chng ng khoỏn dng nh chu nhiu tỏc ng hn t nhng thay i ca cỏc nhõn t mang tớnh ni a, in hỡnh l cung tin c bit, cung tin mang li mt hiu ng dng cho giỏ chng khoỏn ngn hn, nhng li tỏc ng ngc chiu nu xột di hn T giỏ hi oỏi tỏc ng nghch chiu ti giỏ chng khoỏn di hn; cũn sn Tr lng cụng nghip v lm phỏt thỡ mang ti hiu ng dng di hn Diacogiannis, Tsiritakis v Manolas (2001) ó tỡm thy mi quan h cht ch gia 13 18 bin kinh t v mụ c la chn nghiờn cu vi t sut sinh li ca TTCK Hy Lp Udegbunam & Eriki (2001) nghiờn cu trờn TTCK Nigeria cho kt qu bin v mụ c chn quan sỏt, ch bin lm phỏt cú quan h ngc chiu vi giỏ c phiu SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM Test critical values: 1% level -3.557472 5% level -2.916566 10% level -2.596116 u *MacKinnon (1996) one-sided p-values Null Hypothesis: LIG has a unit root t H Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) Prob.* Augmented Dickey-Fuller test statistic -2.802184 0.0646 Test critical values: 1% level -3.557472 5% level -2.916566 in cK 10% level h t-Statistic -2.596116 h *MacKinnon (1996) one-sided p-values Null Hypothesis: DLIG has a unit root i Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) Prob.* Augmented Dickey-Fuller test statistic -5.071080 0.0001 Test critical values: 1% level -3.557472 5% level -2.916566 10% level -2.596116 Tr ng t-Statistic *MacKinnon (1996) one-sided p-values PH LC 1.7 Sn lng cụng nghip Null Hypothesis: IP has a unit root Exogenous: Constant SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM Lag Length: (Automatic - based on SIC, maxlag=10) Prob.* Augmented Dickey-Fuller test statistic 0.843836 0.9939 Test critical values: 1% level -3.560019 5% level -2.917650 10% level -2.596689 t H u t-Statistic *MacKinnon (1996) one-sided p-values Exogenous: Constant in Lag Length: (Automatic - based on SIC, maxlag=10) h Null Hypothesis: LIP has a unit root Prob.* Augmented Dickey-Fuller test statistic -0.028325 0.9514 Test critical values: 1% level -3.560019 h cK t-Statistic -2.917650 10% level -2.596689 i 5% level *MacKinnon (1996) one-sided p-values Null Hypothesis: DLIP has a unit root ng Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) Prob.* Augmented Dickey-Fuller test statistic -10.22311 0.0000 Test critical values: 1% level -3.557472 5% level -2.916566 10% level -2.596116 Tr t-Statistic *MacKinnon (1996) one-sided p-values SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM PH LC 1.8 Ch s giỏ c phiu VN - Index Prob.* Augmented Dickey-Fuller test statistic -2.538915 0.1122 Test critical values: 1% level 5% level 10% level -3.557472 -2.916566 -2.596116 t H t-Statistic cK in h *MacKinnon (1996) one-sided p-values Null Hypothesis: LVNI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) u Null Hypothesis: VNI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) Prob.* -2.607198 0.0978 h Augmented Dickey-Fuller test statistic t-Statistic i Test critical values: 1% level 5% level 10% level -3.557472 -2.916566 -2.596116 *MacKinnon (1996) one-sided p-values ng Null Hypothesis: DLVNI has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=10) Prob.* Augmented Dickey-Fuller test statistic -6.084583 0.0000 Test critical values: -3.557472 -2.916566 -2.596116 Tr t-Statistic 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM PH LC 2: XC NH NH HNG CA CC NHN T KINH T V Mễ N TH TRNG CHNG KHON TRONG DI HN PH LC 2.1: c lng phng trỡnh hi quy ban u Dependent Variable: LVNI Included observations: 55 Coefficient Std Error t-Statistic Prob LCPI -1.953701 LINT 0.094527 LEX -2.043285 LM2 1.239537 0.266327 4.654195 LOP 1.158361 0.143414 8.077071 0.0000 LIG -0.096467 0.198887 -2.496229 0.0161 LIP 0.005788 0.172256 0.033600 0.0733 C -9.764625 7.255312 -1.345859 0.1848 t H Variable 0.0009 0.152957 0.617996 0.0396 0.860062 -2.375742 0.0216 h 0.548658 -3.560874 h cK in 0.0000 0.777157 Mean dependent var 6.089493 Adjusted R-squared 0.743968 S.D dependent var 0.164854 S.E of regression 0.083415 Akaike info criterion -1.996249 Sum squared resid 0.327031 Schwarz criterion Log likelihood 62.89684 Hannan-Quinn criter -1.883339 F-statistic 23.41589 Durbin-Watson stat ng i R-squared -1.704273 0.900983 0.000000 Prob(F-statistic) u Method: Least Squares Tr PH LC 2.2: Xỏc nh mi quan h gia tng bin c lp vi cỏc bin c lp khỏc Dependent Variable: LCPI Method: Least Squares Included observations: 55 SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM Coefficient LINT -0.141716 LEX 1.062682 LM2 -0.012857 LOP Std Error t-Statistic Prob 0.0002 0.166333 6.388896 0.0000 0.070039 -0.183562 0.8551 0.038998 0.037306 1.045360 0.3011 LIG 0.155775 0.047245 3.297204 0.0018 LIP 0.080822 0.043789 1.845730 0.0711 C -6.845557 1.633031 -4.191934 0.0001 t H 0.034652 -4.089681 0.951781 Mean dependent var 5.231476 Adjusted R-squared 0.911331 S.D dependent var 0.151423 S.E of regression 0.021944 Akaike info criterion -4.682199 Sum squared resid 0.023115 Schwarz criterion Log likelihood 135.7605 Hannan-Quinn criter -4.583403 F-statistic 420.5263 Durbin-Watson stat Prob(F-statistic) 0.000000 -4.426720 0.577409 i h cK in h R-squared Dependent Variable: LINT u Variable Method: Least Squares Variable Std Error t-Statistic Prob LEX 2.019699 0.757433 2.666506 0.0104 LM2 -0.203364 0.249599 -0.814765 0.4192 LOP 0.418455 0.121106 3.455275 0.0012 LIG 0.906479 0.134553 6.736961 0.0000 LIP -0.416729 0.151011 -2.759600 0.0082 C -5.915892 6.793006 -0.870880 0.3882 LCPI -1.823408 0.445856 -4.089681 0.0002 Tr ng Coefficient Included observations: 55 R-squared 0.917811 SVTH: NGUYN TUYT TRINH Mean dependent var -0.170596 GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM Adjusted R-squared 0.907537 S.D dependent var 0.258864 S.E of regression 0.078715 Akaike info criterion -2.127563 Sum squared resid 0.297407 Schwarz criterion Log likelihood 65.50798 Hannan-Quinn criter -2.028767 F-statistic 89.33653 Durbin-Watson stat Prob(F-statistic) 0.000000 -1.872084 t H u 0.780413 Dependent Variable: LEX Method: Least Squares Std Error t-Statistic LM2 0.136982 0.040085 3.417309 0.0013 LOP -0.001505 0.024067 -0.062516 LIG 0.000406 0.033378 0.012159 0.9903 LIP -0.076759 cK 0.9504 0.026701 -2.874750 0.0060 C 3.640949 1.098354 3.314914 0.0018 LCPI 0.432461 0.067690 6.388896 0.0000 LINT 0.063880 0.023957 2.666506 0.0104 0.973743 Mean dependent var 9.874641 Adjusted R-squared 0.970461 S.D dependent var 0.081451 S.E of regression 0.013999 Akaike info criterion -5.581257 Sum squared resid 0.009407 Schwarz criterion Log likelihood 160.4846 Hannan-Quinn criter -5.482462 F-statistic 296.6845 Durbin-Watson stat Prob(F-statistic) 0.000000 Tr i ng R-squared Prob in Coefficient h Variable h Included observations: 55 -5.325779 0.963729 Dependent Variable: LM2 SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM Method: Least Squares t-Statistic Prob LOP 0.128830 0.075467 1.707104 0.0943 LIG -0.051624 0.107530 -0.480085 0.6333 LIP 0.411007 0.072083 5.701899 0.0000 C 16.68714 3.108031 5.369040 0.0000 LCPI -0.054563 0.297244 -0.183562 0.8551 LINT -0.067079 0.082329 -0.814765 0.4192 LEX 1.428537 0.418030 0.0013 R-squared 0.971506 Mean dependent var Adjusted R-squared 0.967944 S.D dependent var 0.252495 S.E of regression 0.045207 Akaike info criterion -3.236698 Sum squared resid 0.098098 Schwarz criterion Log likelihood 96.00920 Hannan-Quinn criter -3.137902 F-statistic 272.7562 Prob(F-statistic) 0.000000 35.44434 h cK in 3.417309 u Std Error Durbin-Watson stat -2.981219 0.679278 i Variable t H Coefficient h Included observations: 55 Dependent Variable: LOP Method: Least Squares Variable Std Error t-Statistic Prob LIG 0.012453 0.200160 0.062214 0.9507 LIP 0.081984 0.172962 0.474002 0.6376 C -14.61791 6.990588 -2.091085 0.0418 LCPI 0.570779 0.546012 1.045360 0.3011 LINT 0.476000 0.137760 3.455275 0.0012 LEX -0.054112 0.865568 -0.062516 0.9504 LM2 0.444289 0.260259 0.0943 Tr Coefficient ng Included observations: 55 SVTH: NGUYN TUYT TRINH 1.707104 GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM R-squared 0.916054 Mean dependent var 4.501822 Adjusted R-squared 0.905560 S.D dependent var 0.273185 S.E of regression 0.083953 Akaike info criterion -1.998714 Sum squared resid 0.338306 Schwarz criterion Log likelihood 61.96464 Hannan-Quinn criter -1.899918 F-statistic 87.29899 Durbin-Watson stat Prob(F-statistic) 0.000000 t H 0.496591 Dependent Variable: LIG h Method: Least Squares in Included observations: 55 Std Error LIP 0.265119 0.119010 2.227704 0.0306 C 0.002536 5.265383 0.000482 0.9996 LCPI 1.185466 0.359537 3.297204 0.0018 LINT 0.536149 0.079583 6.736961 0.0000 LEX 0.007589 0.624170 0.012159 0.9903 0.192818 -0.480085 0.6333 0.006475 0.104075 0.9507 0.961632 Mean dependent var 5.936203 Adjusted R-squared 0.956836 S.D dependent var 0.291380 S.E of regression 0.060537 Akaike info criterion -2.652719 Sum squared resid 0.175906 Schwarz criterion Log likelihood 79.94977 Hannan-Quinn criter -2.553923 F-statistic 200.5082 Durbin-Watson stat Prob(F-statistic) 0.000000 LOP -0.092569 Tr ng R-squared i LM2 t-Statistic cK Coefficient h Variable u -1.743235 0.062214 Prob -2.397240 0.637493 Dependent Variable: LIP Method: Least Squares Included observations: 55 SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM Coefficient C -11.31075 LCPI 0.819946 LINT Std Error t-Statistic Prob 0.0593 0.444239 1.845730 0.0711 -0.328582 0.119069 -2.759600 0.0082 LEX -1.913547 0.665639 -2.874750 0.0060 LM2 0.982496 0.172310 5.701899 0.0000 LOP 0.056828 0.119889 0.474002 0.6376 LIG 0.353430 0.158652 2.227704 0.0306 R-squared 0.962054 Mean dependent var 11.31701 Adjusted R-squared 0.957311 S.D dependent var 0.338293 S.E of regression 0.069896 Akaike info criterion -2.365214 Sum squared resid 0.234499 Schwarz criterion Log likelihood 72.04337 Hannan-Quinn criter -2.266418 F-statistic 202.8281 Durbin-Watson stat Prob(F-statistic) 0.000000 -2.109735 1.375907 i h cK in h t H 5.856098 -1.931448 u Variable PH LC 2.3: Hi quy mụ hỡnh sau ó loi b cỏc bin khụng phự hp Dependent Variable: LVNI Method: Least Squares ng Included observations: 55 Tr Variable Coefficient Std Error t-Statistic Prob LCPI -3.411669 0.343624 -9.928496 0.0000 LINT -0.313563 0.086274 -3.634516 0.0007 LM2 1.033303 0.212282 4.867602 0.0000 LOP 1.160757 0.155125 7.482728 0.0000 C -17.96620 5.927112 -3.031190 0.0039 R-squared 0.818195 SVTH: NGUYN TUYT TRINH Mean dependent var 6.089493 GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM Adjusted R-squared 0.790551 S.D dependent var 0.164854 S.E of regression 0.090565 Akaike info criterion -1.878984 Sum squared resid 0.410103 Schwarz criterion Log likelihood 56.67207 Hannan-Quinn criter -1.808416 F-statistic 32.23083 Durbin-Watson stat Prob(F-statistic) 0.000000 -1.696499 Tr ng i h cK in h t H u 0.822102 SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM PH LC 3: XC NH NH HNG CA CC NHN T KINH T V Mễ N TH TRNG CHNG KHON TRONG NGN HN PH LC 3.1: La chn tr ti u u VAR Lag Order Selection Criteria Endogenous variables: LVNI LCPI LM2 LOP LIG LIP Included observations: 51 t H Exogenous variables: C LogL LR FPE AIC 322.0016 NA 1.67e-13 -12.39222 677.9186 614.1313* 6.02e-19* -24.93799* -23.34707* -24.33005* 703.6668 38.36987 9.53e-19 737.8650 42.91539 1.20e-18 784.2343 47.27845 HQ -12.16495 -12.30537 in -24.53595 -21.58140 -23.40693 -24.46530 -20.14710 -22.81518 -24.87193 -19.19009 -22.70073 cK 1.11e-18 SC h Lag h * indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error i AIC: Akaike information criterion SC: Schwarz information criterion ng HQ: Hannan-Quinn information criterion PH LC 3.2: c lng mụ hỡnh ECM Dependent Variable: DLVNI Tr Method: Least Squares Date: 04/21/14 Time: 17:23 Sample (adjusted): 2009M02 2013M07 Included observations: 54 after adjustments Variable Coefficient SVTH: NGUYN TUYT TRINH Std Error t-Statistic Prob GVHD: TS TRN TH BCH NGC 0.041793 0.024326 1.718001 0.0930 DLVNI1 0.305175 0.128864 2.368192 0.0224 DLCPI -2.495275 1.705314 -1.463235 0.1507 DLM2 0.131694 0.595608 0.221108 0.8261 DLOP 0.489510 0.164288 2.979582 0.0047 DLINT -0.190932 0.194955 -0.979365 0.3329 DLCPI1 -1.843088 1.449588 -1.271457 0.2104 DLM21 -0.147232 0.597372 -0.246465 0.8065 DLOP1 -0.496291 0.193442 -2.565585 0.0139 DLINT1 0.386996 0.176837 2.188436 0.0341 ECM(-1) -0.646669 0.134220 -4.817983 0.0000 R-squared 0.554719 Mean dependent var h t H C u TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM Adjusted R-squared 0.451165 S.D dependent var 0.082772 S.E of regression 0.061321 Akaike info criterion -2.565780 Sum squared resid 0.161689 Schwarz criterion Log likelihood 80.27607 Hannan-Quinn criter -2.409525 F-statistic 5.356822 Prob(F-statistic) 0.000042 h cK in 0.008961 2.046895 Tr ng i Durbin-Watson stat -2.160617 SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM PH LC 4: KIM NH NHN QU GRANGER HAI BIN PH LC 4.1 Mi quan h gia ch s VN Index v Ch s giỏ tiờu dựng Pairwise Granger Causality Tests Obs F-Statistic LCPI does not Granger Cause LVNI 53 LVNI does not Granger Cause LCPI Prob 2.54987 0.0675 0.08688 0.9169 t H Null Hypothesis: u Lags: h PH LC 4.2 Mi quan h gia ch s VN Index v Lói sut tin gi ca cỏc in NHTM Pairwise Granger Causality Tests Null Hypothesis: cK Lags: Obs F-Statistic 52 h LINT does not Granger Cause LVNI 2.64845 0.0603 1.04704 0.3810 i LVNI does not Granger Cause LINT Prob PH LC 4.3 Mi quan h gia ch s VN Index v T giỏ hi oỏi Pairwise Granger Causality Tests ng Lags: Null Hypothesis: LEX does not Granger Cause LVNI 52 Prob 0.83010 0.3665 1.51533 0.2234 Tr LVNI does not Granger Cause LEX Obs F-Statistic SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM PH LC 4.4 Mi quan h gia ch s VN Index v Cung tin M2 Pairwise Granger Causality Tests Obs F-Statistic LM2 does not Granger Cause LVNI 52 LVNI does not Granger Cause LM2 Prob 2.64145 0.0608 1.52396 0.2212 t H Null Hypothesis: u Lags: PH LC 4.5 Mi quan h gia ch s VN Index v Giỏ du th gii h Pairwise Granger Causality Tests in Lags: Obs F-Statistic 54 h LOP does not Granger Cause LVNI cK Null Hypothesis: 2.70885 0.0562 0.54895 0.4621 i LVNI does not Granger Cause LOP Prob PH LC 4.6 Mi quan h gia ch s VN Index v Ch s giỏ vng nc Pairwise Granger Causality Tests ng Lags: Null Hypothesis: LIG does not Granger Cause LVNI 52 Prob 1.90722 0.1596 0.92229 0.4378 Tr LVNI does not Granger Cause LIG Obs F-Statistic SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC TI: PHN TCH NH HNG CA CC NHN T KINH T V Mễ N TTCK VIT NAM PH LC 4.7 Mi quan h gia ch s VN Index v Sn lng sn xut cụng nghip Pairwise Granger Causality Tests Obs F-Statistic LIP does not Granger Cause LVNI 53 0.65546 0.5238 0.80812 0.4517 Tr ng i h cK in h LVNI does not Granger Cause LIP Prob t H Null Hypothesis: u Lags: SVTH: NGUYN TUYT TRINH GVHD: TS TRN TH BCH NGC